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The political determinants of government bond holdings
Eichler, Stefan; Plaga, Timo - 2016
This paper analyzes the link between political factors and sovereign bond holdings of US investors in 60 countries over the 2003-2013 period. We find that, in general, US investors hold more bonds in countries with few political constraints on the government. Moreover, US investors respond to...
Persistent link: https://www.econbiz.de/10011443072
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The political determinants of government bond holdings
Eichler, Stefan; Plaga, Timo - 2016
This paper analyzes the link between political factors and sovereign bond holdings of US investors in 60 countries over the 2003-2013 period. We find that, in general, US investors hold more bonds in countries with few political constraints on the government. Moreover, US investors respond to...
Persistent link: https://www.econbiz.de/10011453316
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Cyclical investment behavior across financial institutions
Timmer, Yannick - 2016
This paper examines the investment behavior in debt securities across financial institutions with a particular focus on how they respond to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that banks...
Persistent link: https://www.econbiz.de/10011456487
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Do mutual funds outperform during recessions? : international (counter-) evidence
Fink, Christopher; Raatz, Katharina; Weigert, Florian - 2014 - This draft: September 28, 2014
Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...
Persistent link: https://www.econbiz.de/10010410729
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Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Littermann, mean variance and nai͏̈ve diversification approaches
Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - 2012 - Current Version: March 1, 2012
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10009671099
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Private information, human capital, and optimal “home bias” in financial markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009516904
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim-Alexander; Schindler, Felix; Schrimpf, Andreas - 2011
such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits … diversification due to style-based investing in FX markets (both in the statistical, and most importantly, in the economic sense … portfolio augmented by FX investment styles compared to the benchmark. -- International Diversification ; Foreign Exchange …
Persistent link: https://www.econbiz.de/10008938019
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Commodities in asset management
Demidova-Menzel, Nadeshda (contributor);  … - 2007
The investment in commodities is starting to be more important during the last years. The paper describes the characteristics of financially important commodities. In many cases a passive investment in an index is most suitable. As the GSCI is found to be the most important, its underlying...
Persistent link: https://www.econbiz.de/10003750301
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International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
Kroencke, Tim Alexander - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We … diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally …, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification …
Persistent link: https://www.econbiz.de/10013130029
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Assessing Alternative Global Equity Investment Frameworks
Li, Xi - 2011
dominate in the diversification benefits of global equity investing. We find that region-sector and region-industry frameworks …
Persistent link: https://www.econbiz.de/10013131001